|
PureBytes Links
Trading Reference Links
|
Actually, if you want a little feedback in the context of my
experience, it's this...
Since I've been trading my own money and involved in the 'independent
trading community', I have been incredibly impressed by,
1. The quality if software available to private traders.
2. The imagination and ingenuity of the private trading community.
Through being involved on this and other forums, I have seen stronger
idea development and application than I saw in any institution I
worked at. It really is incredible. Take a good independent trader and
he will run rings around a good institutional trader in my view.
I honestly think some of the work happening amoungst the best private
traders is at the cutting edge of alpha development.
--- In amibroker@xxxxxxxxxxxxxxx, "buandbe" <buandbe@xxx> wrote:
>
>
> It's good to know institutional model developers such as yourself are
> participating in this forum.
> Your experience may not be directly applicable to most of us since we
> cannot hold a few hundred stocks in a portfolio.
> Nonetheless, the fact that a person who used industrial strength
> backtesting applications chose AmiBroker can be an endorsement of sort.
> Looking forward to your input...
>
> --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@> wrote:
> >
> > Well, over the years (12) I worked for various banks... different
> > models, developed differently and different houses depending on the
> > mandate. The ideas behind the model I was illustrating there started
> > development at Merrill Lynch... and ultimately ended up being traded
> > by Barclays Capital & then Nomura.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "buandbe" <buandbe@> wrote:
> > >
> > >
> > > Very interesting.
> > >
> > > Would you care to name the investment Bank ?
> > >
> > > TIA
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@>
wrote:
> > > >
> > > > Ara,
> > > >
> > > > When I was working for an investment bank, the parameters (and
> > > > universe) were optimized each month from the previous 6 months
data
> > > > backtest (rolled forward each month obviously). These parametere
> were
> > > > then used to trade live for the coming month. This is how all my
> > > > backtesting was done (i.e. OOS) and all my live trading.
> > > >
> > > > In this sense, the paramters were indeed 'adaptive'.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@> wrote:
> > > > >
> > > > > WF testing seems like a logical step to take in creating a
trading
> > > > system. While I am not suggesting that we don't do it, I'd like to
> > > > clear my understanding.
> > > > >
> > > > > It seems to me that we are looking to create a system with
> > > > parameters that are valid "for all time". If a test is
succesful in
> > > > OOS period, then we can assume that we have found something that
> > > > remains applicable for the future - at least in this one instance.
> > > > >
> > > > > Given that the markets change all the time, the obvious
conclusion
> > > > for me is that we need indicators that are adaptive... and
that any
> > > > that do not adapt will simply not work in OOS.
> > > > >
> > > > > The issue of providing feedback from equity curve seems valid
> and it
> > > > can provide a warning about system starting to not perform as
> expected
> > > > ... so regardless of type of indicators used, this kind of
> feedback is
> > > > good!.
> > > > >
> > > > > The point I am making is that there has been very little said
> about
> > > > adaptive indicators ...
> > > > >
> > > > > maybe that is the holy grail ... and therefore untennable ...
> > > > >
> > > >
> > >
> >
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|